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Portfolio Selection with Multiple Time Horizons: A Mean Variance - Stochastic Goal Programming Approach

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Portfolio Selection with Multiple Time Horizons: A Mean Variance - Stochastic Goal Programming Approach

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Ballestero, E.; García Bernabeu, AM. (2013). Portfolio Selection with Multiple Time Horizons: A Mean Variance - Stochastic Goal Programming Approach. Information Systems and Operational Research. 50(3):106-116. doi:10.3138/infor.50.3.106

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/35310

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Title: Portfolio Selection with Multiple Time Horizons: A Mean Variance - Stochastic Goal Programming Approach
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials
Issued date:
Abstract:
Standard approaches to portfolio selection from classical Markowitz mean-variance model require using a time horizon of historical returns over a period that the investor defines in a conventional way. To avoid arbitrary ...[+]
Subjects: Portfolio selection , Time horizon , Risk aversion , Investor's preferences , Mean variance- stochastic goal programming
Copyrigths: Cerrado
Source:
Information Systems and Operational Research. (issn: 0315-5986 ) (eissn: 1916-0615 )
DOI: 10.3138/infor.50.3.106
Publisher:
University of Toronto Press
Publisher version: http://dx.doi.org/10.3138/infor.50.3.106
Type: Artículo

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